How to import a .max model into Blender?
.max is the native internal format of 3DS Max, just like .blend is Blender's native format. To get models into blender use an interchange format such as Obj, Collada or FBX. 

If you only have the .max file and no access to 3DS Max, then yes, there's no way to import it into blender, just like there's no way to import a .blend file into Max, or a .max file into Maya.